Fifty Shades of QE: Robust Evidence

In the IMFS Working Paper 147, Fabo, Jancoková, Kempf, and Pástor have shown that papers written by central bank researchers find quantitative easing (QE) to be more effective than papers written by academics. Weale and Wieladek argue that a subset of these results lose statistical significance when OLS regressions are replaced by regressions that downweight outliers. The authors examine those outliers and find no reason to downweight them. Most of them represent estimates from influential central bank papers published in respectable academic journals. For example, among the five papers finding the largest peak effect of QE on output, all five are published in high-quality journals such as the Journal of Monetary Economics, the Journal of Money, Credit and Banking, and the Applied Economics Letters, and their average number of citations is well over 200. Moreover, Fabo, Jancoková, Kempf, and Pástor show that these papers have supported policy communication by the world’s leading central banks and shaped the public perception of the effectiveness of QE. New evidence based on quantile regressions further supports the results in the IMFS WP 147.